Networks, systems, and data join the financial markets into a single interrelated environment that processes millions of transactions in real time. This volume, the third of four, investigates the interconnected nature of financial markets by examining networks, systems, and data in turn....

The proven strategies rational investors require for success in an irrational market. When the dot-com and real estate bubbles of the 1990s and 2000s burst, few were spared the financial fallout. So, how did an investment advisory firm located in Elkhart, Indiana--one of the cities hit hardest...

This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...

This paper studies the effects of financial speculation on commodity futures returns, using publicly available data from the US Commodity Futures Trading Commission, aggregated by trader groups. We exploit the heteroskedasticity in the weekly data to identify exogenous variation in speculators'...